308 research outputs found
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Influencers and Communities in Social Networks
Integration of social media characteristics into an econometric framework requires modeling a high dimensional dynamic network with dimensions of parameter Θ typically much larger than the number of observations. To cope with this problem we introduce a new structural model which supposes that the network is driven by influencers. We additionally assume the community structure of the network, such that the users from the same community depend on the same influencers. An estimation procedure is proposed based on a greedy algorithm and LASSO. Through theoretical study and simulations, we show that the matrix parameter can be estimated even when the observed time interval is smaller than the size of the network. Using a novel dataset of 1069K messages from 30K users posted on the microblogging platform StockTwits during a 4-year period (01.2014-12.2018) and quantifying their opinions via natural language processing, we model their dynamic opinions network and further separate the network into communities. With a sparsity regularization, we are able to identify important nodes in the network
Sequential Data-Adaptive Bandwidth Selection by Cross-Validation for Nonparametric Prediction
We consider the problem of bandwidth selection by cross-validation from a
sequential point of view in a nonparametric regression model. Having in mind
that in applications one often aims at estimation, prediction and change
detection simultaneously, we investigate that approach for sequential kernel
smoothers in order to base these tasks on a single statistic. We provide
uniform weak laws of large numbers and weak consistency results for the
cross-validated bandwidth. Extensions to weakly dependent error terms are
discussed as well. The errors may be {\alpha}-mixing or L2-near epoch
dependent, which guarantees that the uniform convergence of the cross
validation sum and the consistency of the cross-validated bandwidth hold true
for a large class of time series. The method is illustrated by analyzing
photovoltaic data.Comment: 26 page
Specialization of strategies and herding behavior of trading firms in a financial market
The understanding of complex social or economic systems is an important
scientific challenge. Here we present a comprehensive study of the Spanish
Stock Exchange showing that most financial firms trading in that market are
characterized by a resulting strategy and can be classified in groups of firms
with different specialization. Few large firms overally act as trending firms
whereas many heterogeneous firm act as reversing firms. The herding properties
of these two groups are markedly different and consistently observed over a
four-year period of trading.Comment: 8 pages, 5 figure
Extended Kramers-Moyal analysis applied to optical trapping
The Kramers-Moyal analysis is a well established approach to analyze
stochastic time series from complex systems. If the sampling interval of a
measured time series is too low, systematic errors occur in the analysis
results. These errors are labeled as finite time effects in the literature. In
the present article, we present some new insights about these effects and
discuss the limitations of a previously published method to estimate
Kramers-Moyal coefficients at the presence of finite time effects. To increase
the reliability of this method and to avoid misinterpretations, we extend it by
the computation of error estimates for estimated parameters using a Monte Carlo
error propagation technique. Finally, the extended method is applied to a data
set of an optical trapping experiment yielding estimations of the forces acting
on a Brownian particle trapped by optical tweezers. We find an increased
Markov-Einstein time scale of the order of the relaxation time of the process
which can be traced back to memory effects caused by the interaction of the
particle and the fluid. Above the Markov-Einstein time scale, the process can
be very well described by the classical overdamped Markov model for Brownian
motion.Comment: 14 pages, 18 figure
Risk patterns and correlated brain activities. Multidimensional statistical analysis of FMRI data in economic decision making study
Decision making usually involves uncertainty and risk. Understanding which parts of the human brain are activated during decisions under risk and which neural processes underly (risky) investment decisions are important goals in neuroeconomics. Here, we analyze functional magnetic resonance imaging (fMRI) data on 17 subjects who were exposed to an investment decision task from Mohr, Biele, Krugel, Li, and Heekeren (in NeuroImage 49, 2556–2563, 2010b). We obtain a time series of three-dimensional images of the blood-oxygen-level dependent (BOLD) fMRI signals. We apply a panel version of the dynamic semiparametric factor model (DSFM) presented in Park, Mammen, Wolfgang, and Borak (in Journal of the American Statistical Association 104(485), 284–298, 2009) and identify task-related activations in space and dynamics in time. With the panel DSFM (PDSFM) we can capture the dynamic behavior of the specific brain regions common for all subjects and represent the high-dimensional time-series data in easily interpretable low-dimensional dynamic factors without large loss of variability. Further, we classify the risk attitudes of all subjects based on the estimated low-dimensional time series. Our classification analysis successfully confirms the estimated risk attitudes derived directly from subjects’ decision behavior
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Time Varying Quantile Lasso
In the present paper we study the dynamics of penalization parameter λ of the least absolute shrinkage and selection operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by Li and Zhu (2008). The dynamic behaviour of the parameter λ can be observed when the model is assumed to vary over time and therefore the fitting is performed with the use of moving windows. The proposal of investigating time series of λ and its dependency on model characteristics was brought into focus by Hardle et al. (2016), which was a foundation of FinancialRiskMeter (http://frm.wiwi.hu-berlin.de). Following the ideas behind the two aforementioned projects, we use the derivation of the formula for the penalization parameter λ as a result of the optimization problem. This reveals three possible effects driving λ; variance of the error term, correlation structure of the covariates and number of nonzero coefficients of the model. Our aim is to disentangle these three effect and investigate their relationship with the tuning parameter λ, which is conducted by a simulation study. After dealing with the theoretical impact of the three model characteristics on λ, empirical application is performed and the idea of implementing the parameter λ into a systemic risk measure is presented. The codes used to obtain the results included in this work are available on http://quantlet.de/d3/ia/
Computational exploration of molecular receptive fields in the olfactory bulb reveals a glomerulus-centric chemical map
© The Author(s) 2020. This article is licensed under a Creative Commons Attribution 4.0 International License. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/.Progress in olfactory research is currently hampered by incomplete knowledge about chemical receptive ranges of primary receptors. Moreover, the chemical logic underlying the arrangement of computational units in the olfactory bulb has still not been resolved. We undertook a large-scale approach at characterising molecular receptive ranges (MRRs) of glomeruli in the dorsal olfactory bulb (dOB) innervated by the MOR18-2 olfactory receptor, also known as Olfr78, with human ortholog OR51E2. Guided by an iterative approach that combined biological screening and machine learning, we selected 214 odorants to characterise the response of MOR18-2 and its neighbouring glomeruli. We found that a combination of conventional physico-chemical and vibrational molecular descriptors performed best in predicting glomerular responses using nonlinear Support-Vector Regression. We also discovered several previously unknown odorants activating MOR18-2 glomeruli, and obtained detailed MRRs of MOR18-2 glomeruli and their neighbours. Our results confirm earlier findings that demonstrated tunotopy, that is, glomeruli with similar tuning curves tend to be located in spatial proximity in the dOB. In addition, our results indicate chemotopy, that is, a preference for glomeruli with similar physico-chemical MRR descriptions being located in spatial proximity. Together, these findings suggest the existence of a partial chemical map underlying glomerular arrangement in the dOB. Our methodology that combines machine learning and physiological measurements lights the way towards future high-throughput studies to deorphanise and characterise structure-activity relationships in olfaction.Peer reviewe
Consistency of the kernel density estimator - a survey
Various consistency proofs for the kernel density estimator have been developed over the last
few decades. Important milestones are the pointwise consistency and almost sure uniform convergence
with a fixed bandwidth on the one hand and the rate of convergence with a fixed or even a variable
bandwidth on the other hand. While considering global properties of the empirical distribution functions
is sufficient for strong consistency, proofs of exact convergence rates use deeper information about the
underlying empirical processes. A unifying character, however, is that earlier and more recent proofs
use bounds on the probability that a sum of random variables deviates from its mean
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